Cookies are small text files that are stored on your computer's browser. Cookies are created when you use your browser to visit a website that uses cookies to keep track of your movements within the site, help you resume where you left off, preferences, and other customization functions.
If you do decide to change them, you can do this through your browser. Each browser works in a different way, so you'll need to search for 'cookie settings' in your browser's help section to find out how to do this.